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OIL PRICE SHOCKS AND EMERGING STOCK MARKETS: A GENERALIZED VAR APPROACH
11 references·8 citing·33 second hop
OIL PRICE SHOCKS AND EMERGING STOCK MARKETS: A GENERALIZED VAR APPROACH (2005)OIL PRICE SHOCKS AND EMERGING STOCK MARKE…Examining impulse response functions in cointegrated systems (1997)Examining impulse response fu…Assessing forecast performance in a cointegrated system (1996)Assessing forecast performanc…Statistical inference in vector autoregressions with possibly integrated processes (1995)Statistical inference in vect…Forecasting in cointegrated systems (1995)Forecasting in cointegrated s…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Understanding spurious regressions in econometrics (1986)Understanding spurious regres…Price of oil and world inflation and recession (1981)Price of oil and world inflat…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…The Effects of the New Energy Regime on Economic Capacity, Production, and Prices (1977)The Effects of the New Energy…Linkages between crude oil and emerging Asian stock markets: New evidence from the Chinese stock market crash (2019)Linkages between crude oil an…A combined neural network model for commodity price forecasting with SSA (2018)A combined neural network mod…Downside and upside risk spillovers from China to Asian stock markets: A CoVaR-copula approach (2017)Downside and upside risk spil…Oil price risk exposure and the cross-section of stock returns: The case of net exporting countries (2015)Oil price risk exposure and t…The relationship between energy and equity markets: Evidence from volatility impulse response functions (2014)The relationship between ener…Does the source of oil price shocks matter for South African stock returns? A structural VAR approach (2013)Does the source of oil price …Assessing the impact of oil returns on emerging stock markets: A panel data approach for ten Central and Eastern European Countries (2013)Assessing the impact of oil r…Natural gas prices and stock prices: Evidence from EU-15 countries (2012)Natural gas prices and stock …Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Energy consumption, employment, output, and temporal causality: evidence from Taiwan based on cointegration and error-correction modelling techniques (2001)Oil Price Shocks and Emerging Stock Markets: A Generalized VAR Approach (2006)Potential early phase success and ultimate failure of economic sanctions (2013)Trends and random walks in macroeconmic time series (1982)A simple panel unit root test in the presence of cross‐section dependence (2007)Time Series Analysis, Forecasting and Control. (1971)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Forecasting Economic Time Series (2000)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)A Comparison of the Effects of Exogenous Oil Supply Shocks on Output and Inflation in the G7 Countries (2008)The effects of oil price shocks on the Iranian economy (2008)Renewable energy, oil prices, and economic activity: A Granger-causality in quantiles analysis (2018)Oil prices and stock markets in GCC countries: new evidence from nonlinear cointegration analysis (2007)The impact of oil price shocks on stock market returns: Comparing GCC countries with the UK and USA (2010)Economic growth and biomass energy (2012)Tourism as a long-run economic growth factor: the Spanish case (2002)Energy consumption, income, and carbon emissions in the United States (2006)Energy consumption, carbon emissions, and economic growth in China (2009)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models (1997)Macroeconomic variables and the Malaysian equity market (2003)Oil price shocks and agricultural commodity prices (2014)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1995Statistical inference in vector autoregressions with possibly integrated processes6,097 cited
  • 1986Understanding spurious regressions in econometrics1,782 cited
  • 1981Price of oil and world inflation and recession444 cited
  • 1995Forecasting in cointegrated systems279 cited
  • 1977The Effects of the New Energy Regime on Economic Capacity, Production, and Prices168 cited
  • 1996Assessing forecast performance in a cointegrated system137 cited
  • 1997Examining impulse response functions in cointegrated systems107 cited

Cited by

  • 2013Does the source of oil price shocks matter for South African stock returns? A structural VAR approach128 cited
  • 2014The relationship between energy and equity markets: Evidence from volatility impulse response functions111 cited
  • 2013Assessing the impact of oil returns on emerging stock markets: A panel data approach for ten Central and Eastern European Countries

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100 cited
  • 2015Oil price risk exposure and the cross-section of stock returns: The case of net exporting countries94 cited
  • 2012Natural gas prices and stock prices: Evidence from EU-15 countries89 cited
  • 2019Linkages between crude oil and emerging Asian stock markets: New evidence from the Chinese stock market crash81 cited
  • 2018A combined neural network model for commodity price forecasting with SSA79 cited
  • 2017Downside and upside risk spillovers from China to Asian stock markets: A CoVaR-copula approach42 cited